Similar Search Results

Market Risk Quantifications: Historical Simulation Approach on the Malaysian Stock Exchange

Ahmad Baharul Ulum, Zatul Karamah Binti - 2013

positions respectively. Based on the historical simulation technique, mix results are shown when different holding periods are …

Persistent link: https://www.econbiz.de/10011315664

Market Risk Quantifications: Historical Simulation Approach on the Malaysian Stock Exchange

Ahmad Baharul Ulum, Zatul Karamah Binti - 2013

positions respectively. Based on the historical simulation technique, mix results are shown when different holding periods are …

Persistent link: https://www.econbiz.de/10011374960

Using extreme value theory to measure value-at-risk for daily electricity spot prices

Chan, Kam Fong; Gray, Philip - 2006

returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to … simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition …

Persistent link: https://www.econbiz.de/10009448635

When statistics fail : extreme events in financial institutions

Sundmacher, Maike; Ford, Guy - University of Western Sydney; Macquarie University; … - 2004

Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology …

Persistent link: https://www.econbiz.de/10009482233

Analysis of high dimensional multivariate stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006

is scalable in terms of series and factors and simulation-efficient. Methods for estimating the log-likelihood function …

Persistent link: https://www.econbiz.de/10009441545

Farm Level Risk Assessment Using Downside Risk Measures

Berg, Ernst; Starp, Michael - 2006

Recent and presumable future developments tend to increase the risk associated with farming activities. This causes an increasing importance of risk management. Farmers have a wide variety of possibilities to influence the risk exposure of their operations. Among them are the choice of the...

Persistent link: https://www.econbiz.de/10009483581

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

Statistical Issues in Coherent Risk Management

Lu, Na - 2004

.The idea of a coherent capital allocation rule by using a cost sharing rule, the Aumann-Shapley value in game theory, proposed …

Persistent link: https://www.econbiz.de/10009431213

Applications of constrained non-parametric smoothing methods in computing financial risk

Wong, Chung To - 2008

The aim of this thesis is to improve risk measurement estimation by incorporating extra information in the form of constraint into completely non-parametric smoothing techniques. A similar approach has been applied in empirical likelihood analysis. The method of constraints incorporates...

Persistent link: https://www.econbiz.de/10009437890

Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations

Chen, Qian - 2011

estimation, employing the Metropolis--Hastings (MH) algorithm with a mixture of Gaussian proposal distributions. A simulation … mixture of Student t proposal distributions. A simulation study demonstrates the estimation is marginally closer to the true …

Persistent link: https://www.econbiz.de/10009480085